[R-SIG-Finance] quantstrat: getting an error when using many symbols and %-based order sizing function

[Sergey Pisarenko]

Hi,

The specific line this occurs at is:

    dummy <- updatePortf(Portfolio=portfolio, Dates=paste('::',
as.Date(timestamp), sep=''))

The function is inside of the sizing function. I have checked that
timestamp is valid when this function is called so the problem has to
do with some sort of a state problem in the portfolio.

/Sergey

On Mon, Feb 27, 2012 at 6:41 AM, Sergey Pisarenko <drseergio at gmail.com> wrote:
> Hi,
>
> Sorry for not following up sooner as I had been away for a week. I
> have been able to further narrow down the problem. It occurs in the
> sizing function and only when there are too many symbols. I have
> further trimmed down the sample code.
>
> I will continue troubleshooting this function. Do you have any ideas
> that would point me in the right direction?
>
> /Sergey
>
> On Fri, Feb 17, 2012 at 9:11 PM, Sergey Pisarenko <drseergio at gmail.com> wrote:
>> Garett,
>>
>> Thank you for the response and looking into this. The same is observed
>> when I use MySQL (I keep a copy of data on a local DB). Yahoo does not
>> have data for all symbols as well so this might explain some of the
>> 404s.
>>
>> /Sergey
>>
>> On Fri, Feb 17, 2012 at 12:08 PM, G See <gsee000 at gmail.com> wrote:
>>> I've been having trouble with yahoo over the last 24 hours or so.
>>> Sometimes, it returns data; sometimes it doesn't
>>>
>>>> watched <- c("A", "AA", "AAN", "AAP", "AAT", "AAV")
>>>> getSymbols(watched, src='yahoo', verbose=FALSE)
>>> pausing 1 second between requests for more than 5 symbols
>>> pausing 1 second between requests for more than 5 symbols
>>> [1] "A"   "AA"  "AAN" "AAP" "AAT" "AAV"
>>>> getSymbols(watched, src='yahoo', verbose=FALSE)
>>> Error in download.file(paste(yahoo.URL, "s=", Symbols.name, "&a=", from.m,  :
>>>  cannot open URL
>>> 'http://chart.yahoo.com/table.csv?s=AAT&a=0&b=01&c=2007&d=1&e=17&f=2012&g=d&q=q&y=0&z=AAT&x=.csv'
>>> In addition: Warning message:
>>> In download.file(paste(yahoo.URL, "s=", Symbols.name, "&a=", from.m,  :
>>>  cannot open: HTTP status was '404 Not Found'
>>>
>>>
>>> HTH,
>>> Garrett
>>>
>>> On Fri, Feb 17, 2012 at 2:01 PM, Sergey Pisarenko <drseergio at gmail.com> wrote:
>>>> Greetings to the R finance community,
>>>>
>>>> I have written a sizing function (pretty much a slight modification of
>>>> a function from Guy Yollin's slides). The problem is that it fails
>>>> whenever I use many symbols. It works fine for one or few symbols.
>>>>
>>>> The problem manifests itself inside of the sizing function, when
>>>> updatePortf is run. The error I get is:
>>>>> source('tainted_2.R')
>>>> Error in if (nzchar(intervals[1])) s <- as.POSIXlt(do.call(firstof,
>>>> parse.side(intervals[1]))) :
>>>>  argument is of length zero
>>>>
>>>> Traceback:
>>>>> traceback()
>>>> 13: xts:::.parseISO8601(Dates)
>>>> 12: first(xts:::.parseISO8601(Dates))
>>>> 11: .updatePosPL(Portfolio = pname, Symbol = as.character(symbol),
>>>>        Dates = Dates, Prices = Prices, ... = ...)
>>>> 10: updatePortf(Portfolio = portfolio, Dates = paste("::", as.Date(timestamp),
>>>>        sep = "")) at tainted_2.R#100
>>>> 9: osFUN(strategy = strategy, data = data, timestamp = timestamp,
>>>>       orderqty = orderqty, ordertype = ordertype, orderside = orderside,
>>>>       portfolio = portfolio, symbol = symbol, ... = ..., ruletype = ruletype,
>>>>       orderprice = as.numeric(orderprice))
>>>> 8: function (data = mktdata, timestamp, sigcol, sigval, orderqty = 0,
>>>>       ordertype, orderside = NULL, threshold = NULL, tmult = FALSE,
>>>>       replace = TRUE, delay = 1e-04, osFUN = "osNoOp", pricemethod =
>>>> c("market",
>>>>           "opside", "active"), portfolio, symbol, ..., ruletype,
>>>>       TxnFees = 0, prefer = NULL, sethold = FALSE)
>>>> ...
>>>> 7: do.call(fun, .formals)
>>>> 6: ruleProc(strategy$rules[[type]], timestamp = timestamp, path.dep = path.dep,
>>>>       mktdata = mktdata, portfolio = portfolio, symbol = symbol,
>>>>       ruletype = type, mktinstr = mktinstr, ...)
>>>> 5: applyRules(portfolio = portfolio, symbol = symbol, strategy = strategy,
>>>>       mktdata = mktdata, Dates = NULL, indicators = sret$indicators,
>>>>       signals = sret$signals, parameters = parameters, ..., path.dep = TRUE)
>>>> 4: applyStrategy(strategy = "s", portfolios = "p")
>>>> 3: eval.with.vis(expr, envir, enclos)
>>>> 2: eval.with.vis(ei, envir)
>>>> 1: source("tainted_2.R")
>>>>
>>>> The sizing function looks like:
>>>>
>>>> osPercentEquity <- function(timestamp, orderqty, portfolio, symbol,
>>>> ruletype, ...) {
>>>>  posn <- getPosQty(portfolio, symbol, timestamp)
>>>>  if (posn == 0) {
>>>>    tempPortfolio <- getPortfolio(portfolio)
>>>>    dummy <- updatePortf(Portfolio=portfolio, Dates=paste('::',
>>>> as.Date(timestamp), sep=''))     # <<<<<< this is where it fails
>>>>    trading.pl <- sum(getPortfolio(portfolio)$summary$Net.Trading.PL)
>>>>    assign(paste("portfolio.", portfolio, sep=""), tempPortfolio, pos=.blotter)
>>>>    total.equity <- equity + trading.pl
>>>>    tradeSize <- total.equity * prcTrade
>>>>    ClosePrice <- as.numeric(Cl(mktdata[timestamp,]))
>>>>    orderqty <- sign(orderqty) * round(tradeSize / ClosePrice)
>>>>    return(orderqty)
>>>>  }
>>>> }
>>>>
>>>> The add.rule looks like:
>>>> s <- add.rule(strategy=s, name='ruleSignal',
>>>> arguments=list(data=quote(mktdata), sigcol='buySig', sigval=TRUE,
>>>> orderqty=qtyDef, ordertype='market', orderside=NULL, threshold=NULL,
>>>> osFUN='osPercentEquity', ruletype='enter'), type='enter')
>>>>
>>>> Traceback suggests that there is a problem with the date format. I
>>>> have inserted print statements and verified that the date itself is
>>>> fine. It is also weird that the issue does not occur when using few
>>>> symbols.
>>>>
>>>> I have attached runnable code that reproduces the problem. Please
>>>> excuse any apparent inefficiencies you see. I would like to get
>>>> strategy working first and then optimize for performance.
>>>>
>>>> Is there something wrong with the approach I have taken? Once the
>>>> number of symbols is reduced the problem does not trigger.
>>>>
>>>> Truly appreciate your help.
>>>>
>>>> --
>>>> Kind Regards,
>>>> Sergey Pisarenko.
>>>>
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